Sökning: "Mathematics Matematik Mathematical Statistics Stochastic integral Lévy process Type G distribution"

Hittade 1 avhandling innehållade orden Mathematics Matematik Mathematical Statistics Stochastic integral Lévy process Type G distribution.

1. 1. Approximation of Infinitely Divisible Random Variables with Application to the Simulation of Stochastic Processes

   Författare :Magnus Wiktorsson; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; operations research; Statistics; aktuariematematik; Stochastic differential equation; Infinitely divisible distribution; Type G distribution; Lévy process; Stochastic integral; Mathematical Statistics; Matematik; Mathematics; programming; actuarial mathematics; Statistik; operationsanalys; programmering;

   Sammanfattning : This thesis consists of four papers A, B, C and D. Paper A and B treats the simulation of stochastic differential equations (SDEs). The research presented therein was triggered by the fact that there were not any efficient implementations of the higher order methods for simulating SDEs. LÄS MER